Did it as the Lunar Empire (specifically Benevolent Nightmare Moon). Just go to custom rules and make it so you can declare war on anybody (disables achievements). In the final conquest I was losing about 1 troop for every 10 the River Coalition was losing (yay Field Hospitals).

I can't even beat chrysalis at most times because her ai only makes an army and I have like 80 units while she has 300 and it is impossible for me to beat her without an alliance which I hate making because it helps my soon to be ai enemies.

Assuming that you haven't set "Wargoals" to "Always Free", you don't want an alliance with Oliena and you don't wanna take them on as Daybreaker, you'll have to rush the focus that lets you attack the Changelings, then declare on them while Olenia is still in the war (so you don't need to make an alliance with them). This forces the Changelings to fight a two front war (good for you). If you miss it, then FINISH THAT FOCUS NOW! Seriously don't let them build up, it'll be rough.

Remember to change up your division templates so they're good. Just for example, my standard template (at 40 width, before adding motor/mech) 2 Artillery, 2 Anti-Tank, 2 Anti-Air, 15 Infantry, support companies Engineers, Recon, Logistic, Field Hospital (85% reduction in losses yes please), and Signal. For a war with Changelings get at least 1 Anti-Tank (line not support), 1 Artillery (line not support), 20 width divisions, support companies as needed, and focus hard on encirclements. Remember almost all the Infrastructure in EAW is very low, so supplies will be a big problem, something to remember.

Oh and use your navy to prevent a Naval Invasion (seen so many people lose because of Naval Invasions at Vanhoover... Pravus Gaming). Try to concentrate your Air Force in your main area of operations, fighting with Air Supremancy is extremely helpful (even if just to deny it to the Changelings). If things get really bad do the Political Decisions that give you free divisions (never had to do them).

I have beaten the Changelings everytime I've played as Equestria/Solar Empire/Lunar Empire without losing any land, and keeping my losses low (never having to move past "Limited Conscription", never showing "Low Ponypower").Even fought them as the Crystal Empire (ok here I lost land, for a little bit, Daybreaker let a Naval Invasion happen)... I saved the Solar Empire and took out about 50ish Changeling divisions in 1 glorious encirclement. Encirclements work, and armies like being supplied, starving sucks.

I do not claim to be a good Hoi4 player this just works for me.

it's very possible to conquer every nation with most other nations, you just need to play your cards right and take you time, when playing the war of attrition in hoi4 against the ai you will always end up winning.
its not much harder to do than vanilla hoi4 anyways...

personally i never actually conquer all nations because i stop and start over when i feel like iv'e already won anyways
took a few savescums iirc but one of the hardest things i've done so far is beat the river federation as greneclyf.